La contagion liée au changement des anticipations: évidence de la crise coréenne

Wajih Khallouli (), René Sandretto () and Mohamed Ayadi ()
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René Sandretto: GATE, University of Lyon, CNRS, ENS-LSH, Centre Léon Bérard, France

No 816, Working Papers from Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon

Abstract: The object of this article, applied to the case of Korean currency crisis of 1997-1998, is to identify the contagion through an empirical study of the investor anticipations dynamics which is freed from the pseudo explanation hiding place misery by ‘sunspot’. To this end, we develop a, Markov-switching model in line with Jeanne and Masson (2000), but in which we use endogenous probabilities of transition between the states from the economy so as to be able at the same time to identify and explain an effect of contagion. One of the principal contributions of our modelling is that it shows in the Korean case, an overlap of the role of country fundamentals and a self-fulfilling contagion resulting from a rupture in the "beliefs of the market", it self related to the crisis in Thailand and Indonesia.

Keywords: East Asia crisis; Korean currency crisis; Contagion; Multiple equilibria; Anticipations; Self-fulfilling speculation, Markov-switching models (search for similar items in EconPapers)
JEL-codes: C22 F31 F41 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2008
New Economics Papers: this item is included in nep-sea
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ftp://ftp.gate.cnrs.fr/RePEc/2008/0816.pdf (application/pdf)

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Working Paper: La contagion liée au changement des anticipations: évidence de la crise coréenne (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:gat:wpaper:0816

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